This study aimed to design a Pickering emulsion (PE) stabilized by whey protein isolate nanofibers (WPINs) prepared with subcritical water (SW) to encapsulate and prevent curcumin (Cur) degradation. Cur-loaded WPINs–SW stabilized PE (WPINs–SW–PE) and hydrothermally prepared WPINs stabilized PE (WPINs–H–PE) were characterized using the particle size, zeta potential, Congo Red, CD, and TEM. The results indicated that WPINs–SW–PE and WPINs–H–PE showed regular spherical shapes with average lengths of 26.88 ± 1.11 μm and 175.99 ± 2.31 μm, and zeta potential values were −38.00 ± 1.00 mV and −34.60 ± 2.03 mV, respectively. The encapsulation efficiencies of WPINs–SW–PE and WPINs–H–PE for Cur were 96.72 ± 1.05% and 94.07 ± 2.35%. The bio-accessibility of Cur of WPINs–SW–PE and WPINs–H–PE were 57.52 ± 1.24% and 21.94 ± 2.09%. In addition, WPINs–SW–PE had a better loading effect and antioxidant activities compared with WPINs–H–PE. SW could be a potential processing method to prepare a PE, laying the foundation for the subsequent production of functional foods.